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|Title:||Currency arbitrage detection using a binary integer programming model|
|Keywords:||Binary integer programming|
Currency arbitrage detection
Network simplex method
|Citation:||Soon, W., Ye, H.-Q. (2007). Currency arbitrage detection using a binary integer programming model. IEEM 2007: 2007 IEEE International Conference on Industrial Engineering and Engineering Management : 867-870. ScholarBank@NUS Repository. https://doi.org/10.1109/IEEM.2007.4419314|
|Abstract:||We introduce a binary integer programming model to detect arbitrage opportunities in currency exchanges. A network simplex method has been introduced to solve the model efficiently. Moreover, through sensitivity analysis, the solution to our model can be updated quickly to detect new arbitrage opportunities when the exchange rates change in real-time. © 2007 IEEE.|
|Source Title:||IEEM 2007: 2007 IEEE International Conference on Industrial Engineering and Engineering Management|
|Appears in Collections:||Staff Publications|
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